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CAPMuge2 - Capital Asset Pricing Modellen Hans Sommerfeldt...

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Capital Asset Pricing Modellen Hans Sommerfeldt October 6, 2004
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1 CAPM 1 1. CAPM 1.1. Foruds°tninger: ° Ingen transaktionsomkostninger. ° Alle aktiver handles. ° Investeringer uendelig delelige. ° Ingen privat information. Derfor ingen ° arsag til at begr±nse diversi²kation og alle aktiver indg° ar i markedsportef°ljen. 1.2. Implikationer for investorer: Alle investorer holder den identiske markedsporte³lje. Foruds°tninger:. ° Der eksisterer et risikofrit aktiv. ° Alle kan l° ane og udl° ane til samme risikofri rente.
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1 CAPM 2 1.3. aling af markedsrisikoen p± a individuelle aktiver Risikoen p° a ethvert aktiv er for en portef°ljeinvestor den yderligere risiko dette aktiv tilf³jer den samlede portef³lje. I en CAPM-verden er det den yderligere risiko aktivet bidrager med til markedsportef°ljen. Statistisk m° ales denne yderligere risiko vha. kovariansen af aktivet med markedsportef°ljen. Da kovariansen er et ikke-standardiseret m° al for markedsrisikoen, standardiseres det ved at di- videre med variansen p° a markedsportef³ljen: ° Aktiv i = ± iM ± 2 M
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